markets (Austrian, French, German, Italian, and the U.K.'s). We propose a copula GARCH approach, where the return series are … modeled as univariate GARCH processes and the dependence structure between the return series is defined by a copula function … estimated by a semi-parametric method. We found that the timevarying normal copula yields the best fit for CROBEX-CAC40, CROBEX …

Dynamic correlation, Exogenous variables, DCCX, Macroeconomic Announcements, Diversification benefits. - In this …

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected …

This paper extends wavelet methodology to handle co-movement dynamics of multivariate time series via moving weighted … regression on wavelet coefficients. The concept of wavelet local multiple correlation is used to produce one single set of multi …-scale correlations along time, in contrast with the large number of wavelet correlation maps that need to be compared when using standard …